On the Relationship between COVID-19 and G7 Banking Co-Movements

7 Pages Posted: 18 Mar 2021

See all articles by Paulo Rogério Matos

Paulo Rogério Matos

Federal University of Ceara

Cristiano da Silva

Universidade do Estado do Rio Grande do Norte (UERN)

Antonio Costa

Federal University of Ceara

Date Written: March 15, 2021

Abstract

We address G7 banking contagion during the COVID-19 crisis using wavelet-based techniques. We find an increase (20%) of the lowest frequencies banking contagion during the pandemic period based on stronger coherence between all pairs of financial indices. We also find that COVID-19 world cases and deaths are relevant to understand banking cycles co-movements, mainly from February to June. Our findings are confirmed by a correlation contagion test and still hold after controlling for oil prices.

Keywords: Banking contagion, COVID-19, Time-frequency domains

JEL Classification: G01, G15, F44, C6

Suggested Citation

Matos, Paulo Rogério and da Silva, Cristiano and Costa, Antonio, On the Relationship between COVID-19 and G7 Banking Co-Movements (March 15, 2021). Available at SSRN: https://ssrn.com/abstract=3805124 or http://dx.doi.org/10.2139/ssrn.3805124

Paulo Rogério Matos (Contact Author)

Federal University of Ceara ( email )

Rua Papi Júnior 1225 - Rodolfo Teófilo
Fortaleza, Ceara 60431970
Portugal

Cristiano Da Silva

Universidade do Estado do Rio Grande do Norte (UERN) ( email )

Assu - State of Rio Grande do Norte
Mossoró, 59610-210
Brazil

Antonio Costa

Federal University of Ceara ( email )

Rua Papi Júnior 1225 - Rodolfo Teófilo
Fortaleza, Ceara 60431970
Portugal

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